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REFA  

Robust Exponential Factor Analysis
View on CRAN: Click here


Download and install REFA package within the R console
Install from CRAN:
install.packages("REFA")

Install from Github:
library("remotes")
install_github("cran/REFA")

Install by package version:
library("remotes")
install_version("REFA", "0.1.0")



Attach the package and use:
library("REFA")
Maintained by
Jiaqi Hu
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-11-19
Latest Update: 2023-11-19
Description:
A robust alternative to the traditional principal component estimator is proposed within the framework of factor models, known as Robust Exponential Factor Analysis, specifically designed for the modeling of high-dimensional datasets with heavy-tailed distributions. The algorithm estimates the latent factors and the loading by minimizing the exponential squared loss function. To determine the appropriate number of factors, we propose a modified rank minimization technique, which has been shown to significantly enhance finite-sample performance.
How to cite:
Jiaqi Hu (2023). REFA: Robust Exponential Factor Analysis. R package version 0.1.0, https://cran.r-project.org/web/packages/REFA. Accessed 23 Nov. 2024.
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